Koontz Class Material

AREC-ECON 535 - Applied Econometrics - Material

Announcements


My travel season is about to start.  Plan on the missed class meetings below and some make-up videos on ECHO360.  It’s the nature of my appointment with Colorado State University. 

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Class Cancelled Days

During the Fall Semester I have a predictable set of meetings where I deliver market outlook and market policy research to extension audiences.  If I need to then I will cancel class meetings and record a makeup video.  Look for those on Canvas and in ECHO360.  Some of my meetings may be virtual and those may be through the afternoons.  If the meeting is during class then I will cancel the class meeting and record a make-up video.

August 29-30 (T&W) – 5 Rivers Applied Academy of Agribusiness Management – ARDEC Fort Collins, CO – no class impact
October 3-5 (W&R&F) – USDA AMS and DFA milk marketing order testimony – 1 cancelled class
October 5 (F) – Denver, CO @ Colorado Department of Agriculture Outlook Committee Meeting – virtual if I am traveling
October 9-11 (M&T&W) – Monte Vista & Rocky Ford, CO @ Ag Lender Meetings & Producer Workshops – 1 cancelled class
October 17-18 (T&W) – Akron, CO @ Ag Lender Meeting & Colorado Crop Insurance Meeting – 1 cancelled class
October 30-31 (M&T) – Springdale, AR @ Beef & Cattle Markets College Proposal – 1 cancelled class
November ? (?-PM & ?-AM) – Denver, CO @ Industry Outlook Conference –virtual so likely no class impact


Communication Protocol

When you send me an email please make sure the subject line leads with “AREC 535:...” or “ECON 535” or “AREC-ECON 535” and provides a topic.

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Syllabus and Survey

AREC-ECON 535 Syllabus - 8/22


Overheads and Class Materials

AREC-ECON 535 Lec A - 8/22

AREC-ECON 535 Lec B – 8/24
    Graphic - Example Regression
    Graphic - Example Nonlinear

AREC-ECON 535 Lec C – 9/1
    Example – OLS Matrix
    Example – Slutsky Restriction

AREC-ECON 535 Lec D – 9/12
    Lee Lemieux (JEL 2010).pdf  (Regression Discontinuity.  Read the document enough to understand the concepts illustrated in Figures 1 & 2.)
      (I was always a bit frightened when the instructor assigned a JEL article.  Many can take weeks to get through.  Don’t invest long unless it’s for your thesis/dissertation.)
    Imbens-Wooldrige Lecture & Lechner Article (Diff-in-diff.)
      Regression discontinuity and Difference-in-Differences are common specifications with the objective of establishing causality.

AREC-ECON 535 Lec E – 9/14
    Example – Experimental Design
    Tibshirani (JRSS-B 1996).pdf & Tibshirani (JRSS-B 2011).pdf are a couple of papers on LASSO.


    Exam 1 will encompass the preceding material.

AREC-ECON 535 Lec F1 – 9/28

AREC-ECON 535 Lec F2 – 10/5

AREC-ECON 535 Lec G – 10/24

    Example - AR Model
    Example - DL Model
    Supply & Demand Elasticities are important – Equilibrium Displacement Examples
    Spatial Econometrics Workshop Material

AREC-ECON 535 Lec H – 11/1 – Previous Guest Lecture Material
    Example – Panel Model
    Example – Random Effects Errors

AREC-ECON 535 Lec I – 11/3
    Example – Logit & Probit Models
    MacDonald & Moffitt, Lin & Schmidt

    Exam 2 will encompass the preceding material.

AREC-ECON 535 Lec S – 11/14
    Example - Dynamic Systems

AREC-ECON 535 Lec T – 12/5 – Extra Material (Not on Final Exam)
    Example – Stationary & Nonstationary Data
    Example – Time Series Data
    Enders Chart
    Paper – The Chicken or The Egg?
    Paper - Cash & Futures Efficiency - Example of vector autoregression & co-integration

AREC-ECON 535 Lec Z -


Problem Set Material

AREC-ECON 535 Problem Set 1 – 9/5 - due 9/
AREC-ECON 535 Problem Set 1 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 1 Key – 9/19
   Problem Set 1 SAS Output – (The output is only if you want to see the Influential Data statistics.)

AREC-ECON 535 Problem Set 2 – 9/26 - due 10/
AREC-ECON 535 Problem Set 2 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 2 Key – 10/3
   Problem Set 2 SAS Output – (The output is only if you want to see the Collinearity Diagnostics.)

AREC-ECON 535 Problem Set 3a – 10/4 - Part A due 10/23
AREC-ECON 535 Problem Set 3b – 10/17 - Part B due 10/27
AREC-ECON 535 Problem Set 3 Part B Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 3 Key – 11/2

AREC-ECON 535 Problem Set 4 – 11/7 - due 11/16
AREC-ECON 535 Problem Set 4 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 4 Key – 11/16
    PS 4 Vote Calculations Spreadsheet
    PS 4 SAS Output - (The output is for you to see contingency tables and informative graphs.)

AREC-ECON 535 Problem Set 5 – 11/16 - due 12/
AREC-ECON 535 Problem Set 5 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 5 Key – 12/5
    PS 5 SAS Output - (The output is for you to see simultaneity test.)


Assignment Related

AREC-ECON 535 Assignment 1 – 8/29 – due 9/6
    Assignment 1 Data.xlsx (Right Click & Save Link As...)
AREC-ECON 535 Assignment 1 Key – 9/14

AREC-ECON 535 Assignment 2 – 9/13 – due 9/27
AREC-ECON 535 Assignment 2 Key – 9/28

AREC-ECON 535 Assignment 3 – 11/2 - due 11/10
AREC-ECON 535 Assignment 3 Key – 11/16

AREC-ECON 535 Assignment 4 – 11/16 – optional- due 12/8
    Chickens & Eggs.txt (Right Click & Save Link As...)


E-Views and Software Materials

Getting started with R -- Please notice and thank the author...

Getting your data into E-Views -- Please notice and do not bother the author...

STATA has a multitude of links to reference & support material.  There is also an abundance of YouTube videos...

Previous Exams

AREC-ECON 535 Previous Exam 1s – 10/12

AREC-ECON 535 Previous Exam 2s – 11/17



Good Articles

(What to see a topic?  Provide me with some information.)


Most of what Efron writes are difficult reads.  This one is not the case.  My assessment is that econometrics and statistics – the material of this course -- remains useful even in the world of big data and data science.  This article has several discussants, and you’ll have access to them through the library website if you are interested.


The COVID pandemic is the policy and science interaction of our lifetime.  What does the Lancet Commission have to say?  The Lancet is not a forum for babble...

I think this is worth a read – not with a highlighter – but certainly worth reading.  Dave Friedson McNichols Sabia - 2020-09 - AZI DP 13670.pdf  Interesting data – cell phone pings.  And a study of folks that went to Sturgis in 2020 during a world-wide pandemic and then back home.  Please notice Larimer versus Weld Counties on the map.  The economic benefit of the motorcycle rally was local but the costs were far wider – those benefiting from the event did not pay the full cost.  In economics that has a name for this phenomena and perhaps you should know it sufficiently well that you can discuss it with someone you might encounter...

Apparently some folks – academics – took issue with the paper above.  I still think it is an interesting data application.  But here is an offered alternative.  SSRN-id3722299.pdf


Interesting.  And correct.  But this is also partly why people don’t like statistics or statisticians.  Moving to a World Beyond p 0.05.pdf  I know p-values are very useful and communicate both efficiently and effectively.  We do need to be more wary of dependence in data – which typically inflates significance to levels much greater than the actual population level.  (For example, you might think something is significant at the 5% level but because of the dependence in the data it is actually significant at the 30% level in the population – which means it’s insignificant.)


Differences in differences is a classic approach to arguably achieve causality.

Classic work on the minimum wage and differences-in-differences application.  Card Krueger (AER 1994).pdf
Impacts of traffic congestion – and the accompanying pollution – and infant health with a differences-in-differences application.  Currie Walker (AEJ AE 2011).pdf

Competition among schools and measurement of benefits – an instrumental variable application – this is a simultaneity topic.  Hoxby (AER 2000).pdf


Should you read this paper?  Deaton Muellbauer (AER 1980).pdf  No, it is not required.  But the author was one of your 2015 Nobel Prize winners in economic sciences.  And it’s an econometric application on consumer demand.  New stuff for 1980, in which it was published.  Standard approach today.  Good economics, good econometrics, standard tools used today and nothing you cannot understand.  This is modern econometrics.


I just can’t resist, Sala-I-Martin (AER 1997).pdf.


More later...